Step three: Before you do this, backup your memory stick. Open up the program you have just downloaded. Now, where it says: "destination folder", select your PSP memory stick. Click install, and then wait for it to install on your PSP.

Step four: Now that you have done that, go on the PSP's recovery menu (shut off your PSP, then hold the R button while turning it on).

Step five: Go to "plugins" and select "cxmb.prx [VSH]"

Step six: Get the theme that you want, and place it inside PSP -> THEME.

CXMB is the same for version 3.71 up to 5.50, but you can only install CTF themes for you specific CFW version.
Don't make the mistake of trying to run a theme that's not made for your firmware, it can cause a brick.